The little tiny bits go into the holes in the arms and point upward- they're basically the shoulder actuators. Place the peg into the arm's hole so that the other peg side is facing straight up and one of the triangular bits is flush with the arm and facing the same direction as the weapon barrels.
When it comes to the legs, it's probably going to be easier for you if you stick the toes on prior to attaching the legs to the torso.
The Bruin wasn't the easiest model I've ever put together, but it was definitely not as challenging as the first Reseen Thunderbolt, Atlas III, or DA Black Knight (the BK's legs were really difficult to put together due to how tiny the contact area was).
